You should ALWAYS test-stress any electronic component. It's like a burn-in. If it passes it, which it should, it is likely that it will last a very long time. If it doesn't, then you know you might have a lemon and get it replaced now instead of having it die on you out of warranty.
See sixth paragraph down. http://diglloydtools.com/memorytester.html
I haven't gotten this software yet because it doesn't test the GPU